{smcl}
{com}{sf}{ul off}{txt}{.-}
      name:  {res}<unnamed>
       {txt}log:  {res}C:\Users\myogo\Princeton Dropbox\Motohiro Yogo\Koijen Yogo - International\JPE\Replication\Code\2 Summary\Plot0.smcl
  {txt}log type:  {res}smcl
 {txt}opened on:  {res}31 Oct 2025, 09:28:06
{txt}
{com}. /* Define local and global variables */
> 
> local path = "../../figures";
{txt}
{com}. local clist = "^(Germany|Japan|Switzerland|United Kingdom|United States)$";
{txt}
{com}. /* Load data */
> 
> u year Name type maturity yield Lmb Lrealfx Lbook Iycounter_euro
>         if regexm(Name,"`clist'") & Iycounter_euro
>         using "../1 Data/Data4", clear;
{txt}
{com}. /* Construct relative prices and quantities */
> 
> sort year type Name;
{txt}
{com}. by year type: gen Ryield = yield[_N]-yield if Name[_N]=="United States";
{txt}(90 missing values generated)

{com}. foreach var of varlist Lmb Lbook {c -(};
{txt}  2{com}.         by year type: gen R`var' = `var'-`var'[_N] if Name[_N]=="United States";
{txt}  3{com}. {c )-};
{txt}
{com}. drop if Name=="United States";
{txt}(54 observations deleted)

{com}. /* Demean variables */
> 
> foreach var of varlist Lrealfx Ryield RLmb RLbook {c -(};
{txt}  2{com}.         egen M`var' = mean(`var'), by(Name type);
{txt}  3{com}.         replace `var' = `var'-M`var';
{txt}  4{com}.         drop M`var';
{txt}  5{com}. {c )-};
{txt}(216 real changes made)
(72 missing values generated)
(144 real changes made)
(216 real changes made)
(216 real changes made)

{com}. /* Report in percent */
> 
> replace Ryield = 100*Ryield;
{txt}(144 real changes made)

{com}. /* Specify panel labels */
> 
> replace Name = "A. Euro" if Name=="Germany" & type==1;
{txt}(18 real changes made)

{com}. replace Name = "A. Germany" if Name=="Germany" & type>=2;
{txt}(36 real changes made)

{com}. replace Name = "B. Japan" if Name=="Japan";
{txt}(54 real changes made)

{com}. replace Name = "C. Switzerland" if Name=="Switzerland";
{txt}(54 real changes made)

{com}. replace Name = "D. United Kingdom" if Name=="United Kingdom";
{txt}(54 real changes made)

{com}. /* Figure: Short-term rate vs. quantity */
> 
> format year %tyYY;
{txt}
{com}. twoway (scatter Ryield RLbook, m(Sh) mc(gray) msize(vlarge) mlabel(year) mlabp(0))
>         (lfit Ryield RLbook, lc(black))
>         if type==1,
>         by(Name, legend(off) note(""))
>         ylabel(-4(2)4, angle(0))
>         xlabel(-.8(.4).8)
>         ytitle("Short-term rate (%, US minus foreign)")
>         xtitle("Log face value (foreign minus US)")
>         xsize(6) ysize(6);
{res}{txt}
{com}. /* Output figure */
> 
> graph export "`path'/price_quantST.eps", replace;
{txt}{p 0 4 2}
(file {bf}
../../figures/price_quantST.eps{rm}
not found)
{p_end}
{p 0 4 2}
file {bf}
../../figures/price_quantST.eps{rm}
saved as
EPS
format
{p_end}

{com}. reg Ryield RLbook if type==1, robust;

{txt}Linear regression                               Number of obs     = {res}        72
                                                {txt}F(1, 70)          =  {res}    30.08
                                                {txt}Prob > F          = {res}    0.0000
                                                {txt}R-squared         = {res}    0.3342
                                                {txt}Root MSE          =    {res} 1.0268

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 14}{c |}{col 26}    Robust
{col 1}      Ryield{col 14}{c |} Coefficient{col 26}  std. err.{col 38}      t{col 46}   P>|t|{col 54}     [95% con{col 67}f. interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 6}RLbook {c |}{col 14}{res}{space 2}-2.484784{col 26}{space 2} .4530379{col 37}{space 1}   -5.48{col 46}{space 3}0.000{col 54}{space 4}-3.388339{col 67}{space 3}-1.581228
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} 1.98e-16{col 26}{space 2} .1210062{col 37}{space 1}    0.00{col 46}{space 3}1.000{col 54}{space 4}-.2413392{col 67}{space 3} .2413392
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. /* Figure: Long-term yield vs. quantity */
> 
> twoway (scatter Ryield RLbook, m(Sh) mc(gray) msize(vlarge) mlabel(year) mlabp(0))
>         (lfit Ryield RLbook, lc(black))
>         if type==2,
>         by(Name, legend(off) note(""))
>         ylabel(-2(1)2, angle(0))
>         xlabel(-.4(.2).4)
>         ytitle("Long-term yield (%, US minus foreign)")
>         xtitle("Log face value (foreign minus US)")
>         xsize(6) ysize(6);
{res}{txt}
{com}. graph export "`path'/price_quantLT.eps", replace;
{txt}{p 0 4 2}
(file {bf}
../../figures/price_quantLT.eps{rm}
not found)
{p_end}
{p 0 4 2}
file {bf}
../../figures/price_quantLT.eps{rm}
saved as
EPS
format
{p_end}

{com}. reg Ryield RLbook if type==2, robust;

{txt}Linear regression                               Number of obs     = {res}        72
                                                {txt}F(1, 70)          =  {res}    41.92
                                                {txt}Prob > F          = {res}    0.0000
                                                {txt}R-squared         = {res}    0.3451
                                                {txt}Root MSE          =    {res} .59405

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 14}{c |}{col 26}    Robust
{col 1}      Ryield{col 14}{c |} Coefficient{col 26}  std. err.{col 38}      t{col 46}   P>|t|{col 54}     [95% con{col 67}f. interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 6}RLbook {c |}{col 14}{res}{space 2}-2.072893{col 26}{space 2} .3201494{col 37}{space 1}   -6.47{col 46}{space 3}0.000{col 54}{space 4}-2.711411{col 67}{space 3}-1.434375
{txt}{space 7}_cons {c |}{col 14}{res}{space 2}-4.06e-17{col 26}{space 2} .0700091{col 37}{space 1}   -0.00{col 46}{space 3}1.000{col 54}{space 4}-.1396288{col 67}{space 3} .1396288
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. /* Figure: Equity price vs. quantity */
> 
> twoway (scatter RLmb RLbook, m(Sh) mc(gray) msize(vlarge) mlabel(year) mlabp(0))
>         (lfit RLmb RLbook, lc(black))
>         if type==3,
>         by(Name, legend(off) note(""))
>         ylabel(-.8(.4).4, angle(0)) 
>         xlabel(-.4(.2).4)
>         ytitle("Log market-to-book (foreign minus US)")
>         xtitle("Log book value (foreign minus US)")
>         xsize(6) ysize(6);
{res}{txt}
{com}. /* Output figure */
> 
> graph export "`path'/price_quantE.eps", replace;
{txt}{p 0 4 2}
(file {bf}
../../figures/price_quantE.eps{rm}
not found)
{p_end}
{p 0 4 2}
file {bf}
../../figures/price_quantE.eps{rm}
saved as
EPS
format
{p_end}

{com}. reg RLmb RLbook if type==3, robust;

{txt}Linear regression                               Number of obs     = {res}        72
                                                {txt}F(1, 70)          =  {res}     0.87
                                                {txt}Prob > F          = {res}    0.3546
                                                {txt}R-squared         = {res}    0.0093
                                                {txt}Root MSE          =    {res} .19213

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 14}{c |}{col 26}    Robust
{col 1}        RLmb{col 14}{c |} Coefficient{col 26}  std. err.{col 38}      t{col 46}   P>|t|{col 54}     [95% con{col 67}f. interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 6}RLbook {c |}{col 14}{res}{space 2}-.1483983{col 26}{space 2} .1592584{col 37}{space 1}   -0.93{col 46}{space 3}0.355{col 54}{space 4}-.4660293{col 67}{space 3} .1692327
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} 8.41e-18{col 26}{space 2}  .022643{col 37}{space 1}    0.00{col 46}{space 3}1.000{col 54}{space 4}-.0451601{col 67}{space 3} .0451601
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. log close;
      {txt}name:  {res}<unnamed>
       {txt}log:  {res}C:\Users\myogo\Princeton Dropbox\Motohiro Yogo\Koijen Yogo - International\JPE\Replication\Code\2 Summary\Plot0.smcl
  {txt}log type:  {res}smcl
 {txt}closed on:  {res}31 Oct 2025, 09:28:30
{txt}{.-}
{smcl}
{txt}{sf}{ul off}